Incomplete Information, Idiosyncratic Volatility and Stock Returns
- 1 January 2011
- preprint
- Published by Elsevier BV in SSRN Electronic Journal
Abstract
When investors have incomplete information, expected returns, as measured by an econometrician, deviate from those predicted by standard asset pricing models byKeywords
This publication has 19 references indexed in Scilit:
- The Time-Series Behavior and Pricing of Idiosyncratic Volatility: Evidence from 1926 to 1962SSRN Electronic Journal, 2008
- High Idiosyncratic Volatility and Low Returns: International and Further U.S. EvidencePublished by National Bureau of Economic Research ,2008
- The Cross‐Section of Volatility and Expected ReturnsThe Journal of Finance, 2006
- Incomplete Information, Heterogeneity, and Asset PricingJournal of Financial Econometrics, 2005
- How Sensitive Is Investment to Cash Flow When Financing Is Frictionless?The Journal of Finance, 2003
- Stock price volatility and equity premiumJournal of Monetary Economics, 2001
- Optimal Investment, Growth Options, and Security ReturnsThe Journal of Finance, 1999
- A Model of Investor SentimentPublished by National Bureau of Economic Research ,1997
- Evidence that stock prices do not fully reflect the implications of current earnings for future earningsJournal of Accounting and Economics, 1990
- An Empirical Evaluation of Accounting Income NumbersJournal of Accounting Research, 1968